Finance is drowning in a deluge of data. Humans are not very good at comprehending large amounts of data. One way out may be visualization.
Traditional ways of visualizing patterns, complexities and ...

I consider pricing and risk analysis of derivatives on dividends of the members of equity indices (such as Dow Jones EuroStoxx). There are options but I focus on futures.
What are common stochastic ...

Most quantitative investment strategies focus on the changing prices of a commodity or equity over time. Derivatives, however, make this more complicated. How can I apply quantitative strategies to ...

I think option chains are not represented in the best way. With more and more options products coming out and trading on the various exchanges, I see vendors struggling to keep up with a good way to ...

While looking up on quants, I came across many sources that cited 'pricing quants' as one of the biggest chunks among all quant positions. But then I also came across many software companies providing ...

I'm working on a tool to price Credit Default Swaps. I've already done the standard pricing tools. I'm working on a pricing tool which uses the credit rating for the default probabilities used in the ...

Assume there are two stocks $S_1$ with price $p_1(t)$ and $S_2$ with price $p_2(t)$ where $t$ indicates time. Assume, there is a hypothetical derivative $D$, which is such that, price of $D$ at a time ...

I try to understand the derivation of the Black-Scholes equation based on the "constructing a replicating portfolio".
From mathematical point of view it looks simple. We assume that:
Stock prices is ...

I've read a lot of derivations about VIX formula. I can say it is -adjusted- fair strike of variance swap. But I can't see how it goes from variance swap rate to VIX formula. In particular I can't see ...

One of the scapegoats of the financial crisis was value at risk. Still communicating risks effectively to clients is a big challenge and hugely important (also to keep your job as a quant!) In this ...

When modelling the term structure of interest rates, one widespread possibility is using the Black-Karasinski model, which is given by the following stochastic process
$$d\ln{r}=[\theta(t)-a(t)\ln{r}]...

Pricing an IR swap doesn't require any stochastic model but calculation of the PFE for an IR swap would require the Hull White Model or any other stochastic short rate or forward rate model.
Is this ...

Hi everyone, I'm programming in MATLAB and I have the following optimization problem in calibrating several nested specifications of pricing models.
Summary: I have two pricing models ($1$ and $2$, $...

Is there a way to reduce oscillations for the numerical integration when evaluating the Heston model. I am pricing a series of 5000 options scattered over the Heston model parameter space and I find ...

Usually after showing that discounted stock price process is martingale under the risk-neutral measure, most authors say that this implies that the discounted derivative price process is a martingale ...

I'm doing some work for a company and one of my tasks is to research credit default swaps on banks and to write a page about them explaining what they are and how they're used to evaluate the banks' ...

1) Suppose S is the stock price, how to hedge a derivative that pays $1/S_t$ at time $t$?
2) Suppose there will be a dividend of amount $d$ between $t$ and $T$, how to hedge a derivative that pays $...

I am developing an algorithm and it needs to know what to do in certain market conditions
It takes on a Vertical Bull Call Debit Spread on LEAPS that are 12+ months out in the future. This means that ...

So to get exposure to Variance risk premia one could use variance swaps, is there a equivalent security for jumps. Hedging against jump but not diffusion risk could allow one to take targeted exposure ...

For the last few weeks, the 12-month ATM call implied volatility of MUFG (TSE 8306) has been trending around 30-35% (according to Bloomberg). This is by far the highest of the major Japanese banks by ...

I am encountering two approaches for valuation of FX swaps (fixed for fixed, e.g. fixed USD payments for fixed EUR payments) which seem to result into different values although in theory they should ...

It is well known that vanilla fixed for floating swaps usually have a bit of gamma, but does a floating for floating (basis) swap have any? For the sake of simplicity, let's assume that both legs of ...

I have only basic limited knowledge about financial derivatives and I did not find exactly what I was searching for. I found open end turbo call, knock outs, but I am searching for this:
Underlying ...

I was wondering, what is the motivation behind the payoff of the cash swaptions being multiplied by the swap annuity?
$$c(S_{\theta, T})=\sum_{i=\theta+1}^{T}\tau_i\frac{1}{{(1+S_{\theta,T}(\theta))}^...

I have been tasked with writing a 25 page paper on computational complexity. The first 10 pages of this should be background an introduction to the field (which I have largely done already) and the ...

Consider a forward rate agreement on LIBOR (say), which starts 2 months from now, expires after 3 months and has strike $K$, and is based on $3M$ LIBOR -- $FRA_{2\times 5}$. Now the present value of ...